财务与会计学术论坛第八十一期

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题目: Intraday Time and Order Execution Quality Dimensions 演讲者:Fei Wu, senior lecturer in finance, Massey University 时间: 2008年10月31日(星期五)3:00—4:30 PM 地点: 嘉庚二501 参加者: 对财务研究有兴趣的广大师生 主持人: 沈哲老师 论文摘要: We examine intraday execution quality patterns on Nasdaq stocks using proprietary order-level data from a U.S. broker dealer. Orders submitted midday execute slower than orders submitted around the open and close. However, midday orders have lower execution costs. Our results indicate that execution speed and execution cost exhibit offsetting intraday time-dependent patterns and these patterns appear to be induced by variations in informed trading levels. While some traders concentrate their trading activity around the open and close, others prefer to trade midday. Traders have varying preferences for when to trade, and offsetting patterns exist between speed and cost. These factors highlight the complexity in defining an optimal trading time, which, among other things, is dependent on the dimensional preferences of individual traders. 论文作者简介: 吴飞博士先后获华南理工大学学士学位,英国阿伯丁大学财务与投资学硕士学位及爱尔兰都柏林大学财务学博士学位,现任教于新西兰Massey大学金融系。他现为AFA(American Finance Association) 和FMA ( Financial Management Association ) 会员。